Discussing the strategy VECTORIAL DAX (M5)

• 04/10/2019 at 10:53 AM #95931
  winnie37

  Here is my version, with a different angle (WF).

  Improvments and suggestions are welcome!

  // ROBOT VECTORIAL DAX V.3 // M5 // SPREAD 1.5 // by BALMORA 74 - FEBRUARY 2019 /// winnie version 10/04/12019 DEFPARAM CumulateOrders = false DEFPARAM Preloadbars = 50000 //VARIABLES CtimeA = time >= 080000 and time <= 180000 CtimeB = time >= 080000 and time <= 180000 ONCE BarLong = 950 //EXIT ZOMBIE TRADE LONG ONCE BarShort = 650 //EXIT ZOMBIE TRADE SHORT MoneyManagement = 2 //MoneyManagement = Set to 0 for level stakes. Set to 1 for increasing stake size as profits increase and decreasing stake size as profits decrease. Set to 2 for increasing stake size as profits increase with stake size never being decreased. RiskManagement = 1 //RiskManagement = 0 = risk management off and 1 = risk management on. I do not recommend using this it can blow up your account very easily! Capital = 10000 MinBetSize = 1 //MinBetSize = The minimum bet size allowed for the instrument. RiskLevel = 10 //RiskLevel =A factor that changes how fast position size increases as profit increases. Only relevant if Risk Management is turned on. Equity = Capital + StrategyProfit IF MoneyManagement = 1 THEN PositionSize = Max(MinBetSize, Equity * (MinBetSize/Capital)) ENDIF IF MoneyManagement = 2 THEN PositionSize = Max(LastSize, Equity * (MinBetSize/Capital)) LastSize = PositionSize ENDIF IF MoneyManagement <> 1 and MoneyManagement <> 2 THEN PositionSize = MinBetSize ENDIF IF RiskManagement THEN IF Equity > Capital THEN RiskMultiple = ((Equity/Capital) / RiskLevel) PositionSize = PositionSize * (1 + RiskMultiple) ENDIF ENDIF PositionSize = Round(PositionSize) // TAILLE DES POSITIONS PositionSizeLong = 1 * positionsize PositionSizeShort = 1 * positionsize //STRATEGIE //VECTEUR = CALCUL DE L'ANGLE ONCE PeriodeA = 10 ONCE nbChandelierA= 15 MMA = Exponentialaverage[PeriodeA](close) ADJASUROPPO = (MMA-MMA[nbchandelierA]*pipsize) / nbChandelierA ANGLE = (ATAN(ADJASUROPPO)) //FONCTION ARC TANGENTE CondBuy1 = ANGLE >= 20 CondSell1 = ANGLE <= - 24 //VECTEUR = CALCUL DE LA PENTE ET SA MOYENNE MOBILE ONCE PeriodeB = 20 ONCE nbChandelierB= 35 lag = 1.5 MMB = Exponentialaverage[PeriodeB](close) pente = (MMB-MMB[nbchandelierB]*pipsize) / nbchandelierB trigger = Exponentialaverage[PeriodeB+lag](pente) CondBuy2 = (pente > trigger) AND (pente < 0) CondSell2 = (pente CROSSES UNDER trigger) AND (pente > -1) //ENTREES EN POSITION CONDBUY = CondBuy1 and CondBuy2 and CTimeA CONDSELL = CondSell1 and CondSell2 and CtimeB //POSITION LONGUE IF CONDBUY THEN buy PositionSizeLong contract at market SET STOP %LOSS 2 ENDIF //POSITION COURTE IF CONDSELL THEN Sellshort PositionSizeShort contract at market SET STOP %LOSS 2 ENDIF //VARIABLES STOP SUIVEUR ONCE trailingStopType = 1 // Trailing Stop - 0 OFF, 1 ON ONCE trailingstoplong = 4 // Trailing Stop Atr Relative Distance ONCE trailingstopshort = 4 // Trailing Stop Atr Relative Distance ONCE atrtrailingperiod = 14 // Atr parameter Value ONCE minstop = 0 // Minimum Trailing Stop Distance // TRAILINGSTOP //---------------------------------------------- atrtrail = AverageTrueRange[atrtrailingperiod]((close/10)*pipsize)/1000 trailingstartl = round(atrtrail*trailingstoplong) trailingstartS = round(atrtrail*trailingstopshort) if trailingStopType = 1 THEN TGL =trailingstartl TGS=trailingstarts if not onmarket then MAXPRICE = 0 MINPRICE = close PREZZOUSCITA = 0 ENDIF if longonmarket then MAXPRICE = MAX(MAXPRICE,close) if MAXPRICE-tradeprice(1)>=TGL*pointsize then if MAXPRICE-tradeprice(1)>=MINSTOP then PREZZOUSCITA = MAXPRICE-TGL*pointsize ELSE PREZZOUSCITA = MAXPRICE - MINSTOP*pointsize ENDIF ENDIF ENDIF if shortonmarket then MINPRICE = MIN(MINPRICE,close) if tradeprice(1)-MINPRICE>=TGS*pointsize then if tradeprice(1)-MINPRICE>=MINSTOP then PREZZOUSCITA = MINPRICE+TGS*pointsize ELSE PREZZOUSCITA = MINPRICE + MINSTOP*pointsize ENDIF ENDIF ENDIF if onmarket and PREZZOUSCITA>0 then EXITSHORT AT PREZZOUSCITA STOP SELL AT PREZZOUSCITA STOP ENDIF ENDIF //EXIT ZOMBIE TRADE IF POSITIONPERF<0 THEN IF shortOnMarket AND BARINDEX-TRADEINDEX(1)>= barshort THEN EXITSHORT AT MARKET ENDIF ENDIF IF POSITIONPERF<0 THEN IF LongOnMarket AND BARINDEX-TRADEINDEX(1)>= barlong THEN SELL AT MARKET ENDIF ENDIF

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  // ROBOT VECTORIAL DAX V.3 // M5 // SPREAD 1.5 // by BALMORA 74 - FEBRUARY 2019 /// winnie version 10/04/12019 DEFPARAM CumulateOrders = false DEFPARAM Preloadbars = 50000 //VARIABLES CtimeA = time >= 080000 and time <= 180000 CtimeB = time >= 080000 and time <= 180000   ONCE BarLong = 950   //EXIT ZOMBIE TRADE LONG ONCE BarShort = 650  //EXIT ZOMBIE TRADE SHORT   MoneyManagement = 2 //MoneyManagement =  Set to 0 for level stakes. Set to 1 for increasing stake size as profits increase and decreasing stake size as profits decrease. Set to 2 for increasing stake size as profits increase with stake size never being decreased.   RiskManagement = 1 //RiskManagement =      0 = risk management off and 1 = risk management on. I do not recommend using this it can blow up your account very easily!   Capital = 10000   MinBetSize = 1 //MinBetSize =                 The minimum bet size allowed for the instrument.   RiskLevel = 10 //RiskLevel =A factor that changes how fast position size increases as profit increases. Only relevant if Risk Management is turned on.     Equity = Capital + StrategyProfit IF MoneyManagement = 1 THEN PositionSize = Max(MinBetSize, Equity * (MinBetSize/Capital)) ENDIF IF MoneyManagement = 2 THEN PositionSize = Max(LastSize, Equity * (MinBetSize/Capital)) LastSize = PositionSize ENDIF IF MoneyManagement <> 1 and MoneyManagement <> 2 THEN PositionSize = MinBetSize ENDIF IF RiskManagement THEN IF Equity > Capital THEN RiskMultiple = ((Equity/Capital) / RiskLevel) PositionSize = PositionSize * (1 + RiskMultiple) ENDIF ENDIF PositionSize = Round(PositionSize) // TAILLE DES POSITIONS PositionSizeLong = 1 * positionsize PositionSizeShort = 1 * positionsize //STRATEGIE //VECTEUR = CALCUL DE L'ANGLE ONCE PeriodeA = 10 ONCE nbChandelierA= 15 MMA = Exponentialaverage[PeriodeA](close) ADJASUROPPO = (MMA-MMA[nbchandelierA]*pipsize) / nbChandelierA ANGLE = (ATAN(ADJASUROPPO)) //FONCTION ARC TANGENTE CondBuy1 = ANGLE >= 20 CondSell1 = ANGLE <= - 24 //VECTEUR = CALCUL DE LA PENTE ET SA MOYENNE MOBILE ONCE PeriodeB = 20 ONCE nbChandelierB= 35 lag = 1.5 MMB = Exponentialaverage[PeriodeB](close) pente = (MMB-MMB[nbchandelierB]*pipsize) / nbchandelierB trigger = Exponentialaverage[PeriodeB+lag](pente) CondBuy2 = (pente > trigger) AND (pente < 0) CondSell2 = (pente CROSSES UNDER trigger) AND (pente > -1) //ENTREES EN POSITION CONDBUY = CondBuy1 and CondBuy2 and CTimeA CONDSELL = CondSell1 and CondSell2 and CtimeB //POSITION LONGUE IF CONDBUY THEN buy PositionSizeLong contract at market SET STOP %LOSS 2 ENDIF //POSITION COURTE IF CONDSELL THEN Sellshort PositionSizeShort contract at market SET STOP %LOSS 2 ENDIF //VARIABLES STOP SUIVEUR ONCE trailingStopType     = 1    // Trailing Stop - 0 OFF, 1 ON ONCE trailingstoplong     = 4    // Trailing Stop Atr Relative Distance ONCE trailingstopshort    = 4    // Trailing Stop Atr Relative Distance ONCE atrtrailingperiod    = 14  // Atr parameter Value ONCE minstop              = 0    // Minimum Trailing Stop Distance // TRAILINGSTOP //---------------------------------------------- atrtrail = AverageTrueRange[atrtrailingperiod]((close/10)*pipsize)/1000 trailingstartl = round(atrtrail*trailingstoplong) trailingstartS = round(atrtrail*trailingstopshort) if trailingStopType = 1 THEN TGL =trailingstartl TGS=trailingstarts if not onmarket then MAXPRICE = 0 MINPRICE = close PREZZOUSCITA = 0 ENDIF if longonmarket then MAXPRICE = MAX(MAXPRICE,close) if MAXPRICE-tradeprice(1)>=TGL*pointsize then if MAXPRICE-tradeprice(1)>=MINSTOP then PREZZOUSCITA = MAXPRICE-TGL*pointsize ELSE PREZZOUSCITA = MAXPRICE - MINSTOP*pointsize ENDIF ENDIF ENDIF if shortonmarket then MINPRICE = MIN(MINPRICE,close) if tradeprice(1)-MINPRICE>=TGS*pointsize then if tradeprice(1)-MINPRICE>=MINSTOP then PREZZOUSCITA = MINPRICE+TGS*pointsize ELSE PREZZOUSCITA = MINPRICE + MINSTOP*pointsize ENDIF ENDIF ENDIF if onmarket and PREZZOUSCITA>0 then EXITSHORT AT PREZZOUSCITA STOP SELL AT PREZZOUSCITA STOP ENDIF ENDIF   //EXIT ZOMBIE TRADE IF POSITIONPERF<0 THEN IF shortOnMarket AND BARINDEX-TRADEINDEX(1)>= barshort THEN EXITSHORT AT MARKET ENDIF ENDIF IF POSITIONPERF<0 THEN IF LongOnMarket AND BARINDEX-TRADEINDEX(1)>= barlong THEN SELL AT MARKET ENDIF ENDIF

   

   

   

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  winnie37

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  04/10/2019 at 9:18 PM #96006
  Balmora74

  Hi Winnie. Thanks for sharing your researchs

  From my side I worked on an improved version based on Paul’s suggestions

  I kept the values ​​of original angles but I did a backtest using Walk Forward to optimize the variable “lag” and I’m OK like you for lag = 1.5.

  Otherwise I added a 3rd condition for LONG and SHORT based on the orientation of a medium-term moving average :

  CondBuy3 = average[100](close) > average[100](close)[1]

  CondSell3 = average[20](close) < average[20](close)[1]

  It gives less number of positions / less drawdown and  a better profit factor.

  Below are the results and the .ITF file.

  It is quite possible that the algorithm is over fitted and over optimized. Reason why I put the code in account demo to observe its behavior over 6 months to 1 year…

  I will it share it after….

   

  VECTORIAL DAX v2 (WFE)

  // ROBOT VECTORIAL DAX v2 // M5 // SPREAD = 1 // by BALMORA 74 - APRIL 2019 DEFPARAM CumulateOrders = false DEFPARAM Preloadbars = 50000 //TRADING TIME CtimeA = time >= 080000 and time <= 180000 CtimeB = time >= 080000 and time <= 180000 //POSITION SIZE PositionSize = 1 //STRATEGY ONCE PeriodeA = 10 ONCE nbChandelierA= 15 ONCE PeriodeB = 20 ONCE nbChandelierB= 35 ONCE lag = 1.5 MMA = Exponentialaverage[PeriodeA](close) ADJASUROPPO = (MMA-MMA[nbchandelierA]*pipsize) / nbChandelierA ANGLE = (ATAN(ADJASUROPPO)) CondBuy1 = ANGLE >= 35 CondSell1 = ANGLE <= - 40 MMB = Exponentialaverage[PeriodeB](close) pente = (MMB-MMB[nbchandelierB]*pipsize) / nbchandelierB trigger = Exponentialaverage[PeriodeB+lag](pente) //BUY CONDITIONS CondBuy1 = ANGLE >= 35 CondBuy2 = (pente > trigger) AND (pente < 0) CondBuy3 = average[100](close) > average[100](close)[1] CONDBUY = CondBuy1 and CondBuy2 and CondBuy3 and CTimeA //SHORT CONDITIONS CondSell1 = ANGLE <= - 40 CondSell2 = (pente CROSSES UNDER trigger) AND (pente > -1) CondSell3 = average[20](close) < average[20](close)[1] CONDSELL = CondSell1 and CondSell2 and CondSell3 and CtimeB //POSITION LONGUE IF CONDBUY THEN buy PositionSize contract at market SET STOP %LOSS 2 ENDIF //POSITION COURTE IF CONDSELL THEN Sellshort PositionSize contract at market SET STOP %LOSS 2 ENDIF //TRAILING STOP ONCE trailingStopType = 1 // Trailing Stop - 0 OFF, 1 ON ONCE trailingstoplong = 4 // Trailing Stop Atr Relative Distance ONCE trailingstopshort = 4 // Trailing Stop Atr Relative Distance ONCE atrtrailingperiod = 14 // Atr parameter Value ONCE minstop = 0 // Minimum Trailing Stop Distance // TRAILINGSTOP //---------------------------------------------- atrtrail = AverageTrueRange[atrtrailingperiod]((close/10)*pipsize)/1000 trailingstartl = round(atrtrail*trailingstoplong) trailingstartS = round(atrtrail*trailingstopshort) if trailingStopType = 1 THEN TGL =trailingstartl TGS=trailingstarts if not onmarket then MAXPRICE = 0 MINPRICE = close PREZZOUSCITA = 0 ENDIF if longonmarket then MAXPRICE = MAX(MAXPRICE,close) if MAXPRICE-tradeprice(1)>=TGL*pointsize then if MAXPRICE-tradeprice(1)>=MINSTOP then PREZZOUSCITA = MAXPRICE-TGL*pointsize ELSE PREZZOUSCITA = MAXPRICE - MINSTOP*pointsize ENDIF ENDIF ENDIF if shortonmarket then MINPRICE = MIN(MINPRICE,close) if tradeprice(1)-MINPRICE>=TGS*pointsize then if tradeprice(1)-MINPRICE>=MINSTOP then PREZZOUSCITA = MINPRICE+TGS*pointsize ELSE PREZZOUSCITA = MINPRICE + MINSTOP*pointsize ENDIF ENDIF ENDIF if onmarket and PREZZOUSCITA>0 then EXITSHORT AT PREZZOUSCITA STOP SELL AT PREZZOUSCITA STOP ENDIF ENDIF

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106

  // ROBOT VECTORIAL DAX v2 // M5 // SPREAD = 1 // by BALMORA 74 - APRIL 2019   DEFPARAM CumulateOrders = false DEFPARAM Preloadbars = 50000     //TRADING TIME CtimeA = time >= 080000 and time <= 180000 CtimeB = time >= 080000 and time <= 180000   //POSITION SIZE PositionSize = 1   //STRATEGY ONCE PeriodeA = 10 ONCE nbChandelierA= 15 ONCE PeriodeB = 20 ONCE nbChandelierB= 35 ONCE lag = 1.5   MMA = Exponentialaverage[PeriodeA](close) ADJASUROPPO = (MMA-MMA[nbchandelierA]*pipsize) / nbChandelierA ANGLE = (ATAN(ADJASUROPPO)) CondBuy1 = ANGLE >= 35 CondSell1 = ANGLE <= - 40 MMB = Exponentialaverage[PeriodeB](close) pente = (MMB-MMB[nbchandelierB]*pipsize) / nbchandelierB trigger = Exponentialaverage[PeriodeB+lag](pente)   //BUY CONDITIONS CondBuy1 = ANGLE >= 35 CondBuy2 = (pente > trigger) AND (pente < 0) CondBuy3 = average[100](close) > average[100](close)[1] CONDBUY = CondBuy1 and CondBuy2 and CondBuy3 and CTimeA   //SHORT CONDITIONS CondSell1 = ANGLE <= - 40 CondSell2 = (pente CROSSES UNDER trigger) AND (pente > -1) CondSell3 = average[20](close) < average[20](close)[1] CONDSELL = CondSell1 and CondSell2 and CondSell3 and CtimeB     //POSITION LONGUE IF CONDBUY THEN buy PositionSize contract at market SET STOP %LOSS 2 ENDIF   //POSITION COURTE IF CONDSELL THEN Sellshort PositionSize contract at market SET STOP %LOSS 2 ENDIF     //TRAILING STOP ONCE trailingStopType     = 1    // Trailing Stop - 0 OFF, 1 ON ONCE trailingstoplong     = 4    // Trailing Stop Atr Relative Distance ONCE trailingstopshort    = 4    // Trailing Stop Atr Relative Distance   ONCE atrtrailingperiod    = 14  // Atr parameter Value ONCE minstop              = 0    // Minimum Trailing Stop Distance     // TRAILINGSTOP //---------------------------------------------- atrtrail = AverageTrueRange[atrtrailingperiod]((close/10)*pipsize)/1000 trailingstartl = round(atrtrail*trailingstoplong) trailingstartS = round(atrtrail*trailingstopshort) if trailingStopType = 1 THEN TGL =trailingstartl TGS=trailingstarts if not onmarket then   MAXPRICE = 0 MINPRICE = close PREZZOUSCITA = 0 ENDIF if longonmarket then MAXPRICE = MAX(MAXPRICE,close) if MAXPRICE-tradeprice(1)>=TGL*pointsize then if MAXPRICE-tradeprice(1)>=MINSTOP then PREZZOUSCITA = MAXPRICE-TGL*pointsize ELSE PREZZOUSCITA = MAXPRICE - MINSTOP*pointsize ENDIF ENDIF ENDIF if shortonmarket then MINPRICE = MIN(MINPRICE,close) if tradeprice(1)-MINPRICE>=TGS*pointsize then if tradeprice(1)-MINPRICE>=MINSTOP then PREZZOUSCITA = MINPRICE+TGS*pointsize ELSE PREZZOUSCITA = MINPRICE + MINSTOP*pointsize ENDIF ENDIF ENDIF if onmarket and PREZZOUSCITA>0 then EXITSHORT AT PREZZOUSCITA STOP SELL AT PREZZOUSCITA STOP ENDIF ENDIF

   

   

   

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  Balmora74

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  04/11/2019 at 10:03 AM #96042
  GraHal

  Is there redundant code in this strategy or can anybody offer a reason for the following please?

  When I optimise the angles, it seems that almost any value gives the same figure for Gain … see attached.

  Attached is related to the code version immediately above this post.

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  GraHal

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  04/11/2019 at 10:06 AM #96044
  winnie37

  Hi Balmara74,

  thanks for your improvment. I run it too. Another idea to improve tue strategy would be to include and test this part of code, very interesting…

  https://www.prorealcode.com/blog/learning/how-to-improve-a-strategy-with-simulated-trades-1/

  I tried to do it yesterday but i’m not a professionnal coder ;), so some difficulties and errors to do it. Could you try?

  Did you test the strategy on 200K?

   

   

   

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  winnie37

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  04/11/2019 at 12:27 PM #96069
  Balmora74

  @Grahal

  Maybe because you use a negative angle value for variable A28.

  It could be interesting to use a value between 0 and +90 (knowing that the more one deviates from 45 and less positions we have).

   

  EDIT POST – ERROR FOUND !!

  I found a error on the code above !! Yes it’s redudant because LINES 27 and 28 are the same than LINES 34 and 40

  So this is the good version of the code below (i have delete lines 27 and 28) :

   

  VECTORIAL DAX v2 (WFE)

  // ROBOT VECTORIAL DAX v2 // M5 // SPREAD = 1 // by BALMORA 74 - APRIL 2019 DEFPARAM CumulateOrders = false DEFPARAM Preloadbars = 50000 //TRADING TIME CtimeA = time >= 080000 and time <= 180000 CtimeB = time >= 080000 and time <= 180000 //POSITION SIZE PositionSize = 1 //STRATEGY ONCE PeriodeA = 10 ONCE nbChandelierA= 15 ONCE PeriodeB = 20 ONCE nbChandelierB= 35 ONCE lag = 1.5 MMA = Exponentialaverage[PeriodeA](close) ADJASUROPPO = (MMA-MMA[nbchandelierA]*pipsize) / nbChandelierA ANGLE = (ATAN(ADJASUROPPO)) MMB = Exponentialaverage[PeriodeB](close) pente = (MMB-MMB[nbchandelierB]*pipsize) / nbchandelierB trigger = Exponentialaverage[PeriodeB+lag](pente) //BUY CONDITIONS CondBuy1 = ANGLE >= 35 CondBuy2 = (pente > trigger) AND (pente < 0) CondBuy3 = average[100](close) > average[100](close)[1] CONDBUY = CondBuy1 and CondBuy2 and CondBuy3 and CTimeA //SHORT CONDITIONS CondSell1 = ANGLE <= - 40 CondSell2 = (pente CROSSES UNDER trigger) AND (pente > -1) CondSell3 = average[20](close) < average[20](close)[1] CONDSELL = CondSell1 and CondSell2 and CondSell3 and CtimeB //POSITION LONGUE IF CONDBUY THEN buy PositionSize contract at market SET STOP %LOSS 2 ENDIF //POSITION COURTE IF CONDSELL THEN Sellshort PositionSize contract at market SET STOP %LOSS 2 ENDIF //TRAILING STOP ONCE trailingStopType = 1 // Trailing Stop - 0 OFF, 1 ON ONCE trailingstoplong = 4 // Trailing Stop Atr Relative Distance ONCE trailingstopshort = 4 // Trailing Stop Atr Relative Distance ONCE atrtrailingperiod = 14 // Atr parameter Value ONCE minstop = 0 // Minimum Trailing Stop Distance // TRAILINGSTOP //---------------------------------------------- atrtrail = AverageTrueRange[atrtrailingperiod]((close/10)*pipsize)/1000 trailingstartl = round(atrtrail*trailingstoplong) trailingstartS = round(atrtrail*trailingstopshort) if trailingStopType = 1 THEN TGL =trailingstartl TGS=trailingstarts if not onmarket then MAXPRICE = 0 MINPRICE = close PREZZOUSCITA = 0 ENDIF if longonmarket then MAXPRICE = MAX(MAXPRICE,close) if MAXPRICE-tradeprice(1)>=TGL*pointsize then if MAXPRICE-tradeprice(1)>=MINSTOP then PREZZOUSCITA = MAXPRICE-TGL*pointsize ELSE PREZZOUSCITA = MAXPRICE - MINSTOP*pointsize ENDIF ENDIF ENDIF if shortonmarket then MINPRICE = MIN(MINPRICE,close) if tradeprice(1)-MINPRICE>=TGS*pointsize then if tradeprice(1)-MINPRICE>=MINSTOP then PREZZOUSCITA = MINPRICE+TGS*pointsize ELSE PREZZOUSCITA = MINPRICE + MINSTOP*pointsize ENDIF ENDIF ENDIF if onmarket and PREZZOUSCITA>0 then EXITSHORT AT PREZZOUSCITA STOP SELL AT PREZZOUSCITA STOP ENDIF ENDIF

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104

  // ROBOT VECTORIAL DAX v2 // M5 // SPREAD = 1 // by BALMORA 74 - APRIL 2019 DEFPARAM CumulateOrders = false DEFPARAM Preloadbars = 50000 //TRADING TIME CtimeA = time >= 080000 and time <= 180000 CtimeB = time >= 080000 and time <= 180000 //POSITION SIZE PositionSize = 1 //STRATEGY ONCE PeriodeA = 10 ONCE nbChandelierA= 15 ONCE PeriodeB = 20 ONCE nbChandelierB= 35 ONCE lag = 1.5 MMA = Exponentialaverage[PeriodeA](close) ADJASUROPPO = (MMA-MMA[nbchandelierA]*pipsize) / nbChandelierA ANGLE = (ATAN(ADJASUROPPO)) MMB = Exponentialaverage[PeriodeB](close) pente = (MMB-MMB[nbchandelierB]*pipsize) / nbchandelierB trigger = Exponentialaverage[PeriodeB+lag](pente) //BUY CONDITIONS CondBuy1 = ANGLE >= 35 CondBuy2 = (pente > trigger) AND (pente < 0) CondBuy3 = average[100](close) > average[100](close)[1] CONDBUY = CondBuy1 and CondBuy2 and CondBuy3 and CTimeA //SHORT CONDITIONS CondSell1 = ANGLE <= - 40 CondSell2 = (pente CROSSES UNDER trigger) AND (pente > -1) CondSell3 = average[20](close) < average[20](close)[1] CONDSELL = CondSell1 and CondSell2 and CondSell3 and CtimeB //POSITION LONGUE IF CONDBUY THEN buy PositionSize contract at market SET STOP %LOSS 2 ENDIF //POSITION COURTE IF CONDSELL THEN Sellshort PositionSize contract at market SET STOP %LOSS 2 ENDIF //TRAILING STOP ONCE trailingStopType     = 1    // Trailing Stop - 0 OFF, 1 ON ONCE trailingstoplong     = 4    // Trailing Stop Atr Relative Distance ONCE trailingstopshort    = 4    // Trailing Stop Atr Relative Distance ONCE atrtrailingperiod    = 14  // Atr parameter Value ONCE minstop              = 0    // Minimum Trailing Stop Distance // TRAILINGSTOP //---------------------------------------------- atrtrail = AverageTrueRange[atrtrailingperiod]((close/10)*pipsize)/1000 trailingstartl = round(atrtrail*trailingstoplong) trailingstartS = round(atrtrail*trailingstopshort) if trailingStopType = 1 THEN TGL =trailingstartl TGS=trailingstarts if not onmarket then MAXPRICE = 0 MINPRICE = close PREZZOUSCITA = 0 ENDIF if longonmarket then MAXPRICE = MAX(MAXPRICE,close) if MAXPRICE-tradeprice(1)>=TGL*pointsize then if MAXPRICE-tradeprice(1)>=MINSTOP then PREZZOUSCITA = MAXPRICE-TGL*pointsize ELSE PREZZOUSCITA = MAXPRICE - MINSTOP*pointsize ENDIF ENDIF ENDIF if shortonmarket then MINPRICE = MIN(MINPRICE,close) if tradeprice(1)-MINPRICE>=TGS*pointsize then if tradeprice(1)-MINPRICE>=MINSTOP then PREZZOUSCITA = MINPRICE+TGS*pointsize ELSE PREZZOUSCITA = MINPRICE + MINSTOP*pointsize ENDIF ENDIF ENDIF if onmarket and PREZZOUSCITA>0 then EXITSHORT AT PREZZOUSCITA STOP SELL AT PREZZOUSCITA STOP ENDIF ENDIF

   

   

   

  

  Balmora74

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  04/11/2019 at 1:02 PM #96075
  bullbear

  I am going to run this code live.

  A little more fun then 🙂

   

  In order for the losses not to be too large you can sell ex.. 0.5 contracts directly after a position is taken.

  It will be lower DD as well.

  How do you code this?

  

  bullbear

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  04/11/2019 at 1:14 PM #96082
  Vonasi

  bullbear – Partial closure is not possible in live trading in ProOrder.

  

  Vonasi

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  04/11/2019 at 1:34 PM #96086
  bullbear

  Vonasi

  Sad to hear that.

  I currently have 5 algo live on dax.

  Unfortunately, they have gone bad at the same time and it is expensive.

  I am going to run them on demo now instead.

  

  bullbear

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  04/11/2019 at 1:41 PM #96089
  Vonasi

  bullbear wrote:

  I currently have 5 algo live on dax. Unfortunately, they have gone bad at the same time and it is expensive. I am going to run them on demo now instead.

  I would suggest always running any strategies in a lengthy live forward test in demo to confirm that they are not curve fitted. Yes it is a bit boring and not as exciting as going live but your patience will save you from losing an awful lot of money in the long run. I have strategies that have had on test for a year or more now. They are very profitable but the draw down was bigger than in the in sample test and would have sucked my real account dry if I had just gone live with them. Patience pays!

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  Vonasi

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  04/11/2019 at 1:57 PM #96091
  bullbear

  vonsai

  True!!

  I tested your code on nasdaq.

  changed sl and tp and time.

  // ROBOT VECTORIAL DAX v2 // M5 // SPREAD = 1 // by BALMORA 74 - APRIL 2019 DEFPARAM CumulateOrders = false DEFPARAM Preloadbars = 50000 //TRADING TIME CtimeA = time >= 150000 and time <= 220000 CtimeB = time >= 150000 and time <= 220000 //POSITION SIZE PositionSize = 1 //STRATEGY ONCE PeriodeA = 10 ONCE nbChandelierA= 15 ONCE PeriodeB = 20 ONCE nbChandelierB= 35 ONCE lag = 1.5 MMA = Exponentialaverage[PeriodeA](close) ADJASUROPPO = (MMA-MMA[nbchandelierA]*pipsize) / nbChandelierA ANGLE = (ATAN(ADJASUROPPO)) MMB = Exponentialaverage[PeriodeB](close) pente = (MMB-MMB[nbchandelierB]*pipsize) / nbchandelierB trigger = Exponentialaverage[PeriodeB+lag](pente) //BUY CONDITIONS CondBuy1 = ANGLE >= 35 CondBuy2 = (pente > trigger) AND (pente < 0) CondBuy3 = average[100](close) > average[100](close)[1] CONDBUY = CondBuy1 and CondBuy2 and CondBuy3 and CTimeA //SHORT CONDITIONS CondSell1 = ANGLE <= - 40 CondSell2 = (pente CROSSES UNDER trigger) AND (pente > -1) CondSell3 = average[20](close) < average[20](close)[1] CONDSELL = CondSell1 and CondSell2 and CondSell3 and CtimeB //POSITION LONGUE IF CONDBUY THEN buy PositionSize contract at market SET STOP %LOSS 2 ENDIF //POSITION COURTE IF CONDSELL THEN Sellshort PositionSize contract at market SET STOP %LOSS 2 ENDIF //TRAILING STOP ONCE trailingStopType = 1 // Trailing Stop - 0 OFF, 1 ON ONCE trailingstoplong = 8 // Trailing Stop Atr Relative Distance ONCE trailingstopshort = 5 // Trailing Stop Atr Relative Distance ONCE atrtrailingperiod = 30 // Atr parameter Value ONCE minstop = 0 // Minimum Trailing Stop Distance // TRAILINGSTOP //---------------------------------------------- atrtrail = AverageTrueRange[atrtrailingperiod]((close/10)*pipsize)/1000 trailingstartl = round(atrtrail*trailingstoplong) trailingstartS = round(atrtrail*trailingstopshort) if trailingStopType = 1 THEN TGL =trailingstartl TGS=trailingstarts if not onmarket then MAXPRICE = 0 MINPRICE = close PREZZOUSCITA = 0 ENDIF if longonmarket then MAXPRICE = MAX(MAXPRICE,close) if MAXPRICE-tradeprice(1)>=TGL*pointsize then if MAXPRICE-tradeprice(1)>=MINSTOP then PREZZOUSCITA = MAXPRICE-TGL*pointsize ELSE PREZZOUSCITA = MAXPRICE - MINSTOP*pointsize ENDIF ENDIF ENDIF if shortonmarket then MINPRICE = MIN(MINPRICE,close) if tradeprice(1)-MINPRICE>=TGS*pointsize then if tradeprice(1)-MINPRICE>=MINSTOP then PREZZOUSCITA = MINPRICE+TGS*pointsize ELSE PREZZOUSCITA = MINPRICE + MINSTOP*pointsize ENDIF ENDIF ENDIF if onmarket and PREZZOUSCITA>0 then EXITSHORT AT PREZZOUSCITA STOP SELL AT PREZZOUSCITA STOP ENDIF ENDIF

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  // ROBOT VECTORIAL DAX v2 // M5 // SPREAD = 1 // by BALMORA 74 - APRIL 2019 DEFPARAM CumulateOrders = false DEFPARAM Preloadbars = 50000 //TRADING TIME CtimeA = time >= 150000 and time <= 220000 CtimeB = time >= 150000 and time <= 220000 //POSITION SIZE PositionSize = 1 //STRATEGY ONCE PeriodeA = 10 ONCE nbChandelierA= 15 ONCE PeriodeB = 20 ONCE nbChandelierB= 35 ONCE lag = 1.5 MMA = Exponentialaverage[PeriodeA](close) ADJASUROPPO = (MMA-MMA[nbchandelierA]*pipsize) / nbChandelierA ANGLE = (ATAN(ADJASUROPPO)) MMB = Exponentialaverage[PeriodeB](close) pente = (MMB-MMB[nbchandelierB]*pipsize) / nbchandelierB trigger = Exponentialaverage[PeriodeB+lag](pente) //BUY CONDITIONS CondBuy1 = ANGLE >= 35 CondBuy2 = (pente > trigger) AND (pente < 0) CondBuy3 = average[100](close) > average[100](close)[1] CONDBUY = CondBuy1 and CondBuy2 and CondBuy3 and CTimeA //SHORT CONDITIONS CondSell1 = ANGLE <= - 40 CondSell2 = (pente CROSSES UNDER trigger) AND (pente > -1) CondSell3 = average[20](close) < average[20](close)[1] CONDSELL = CondSell1 and CondSell2 and CondSell3 and CtimeB //POSITION LONGUE IF CONDBUY THEN buy PositionSize contract at market SET STOP %LOSS 2 ENDIF //POSITION COURTE IF CONDSELL THEN Sellshort PositionSize contract at market SET STOP %LOSS 2 ENDIF //TRAILING STOP ONCE trailingStopType     = 1    // Trailing Stop - 0 OFF, 1 ON ONCE trailingstoplong     = 8    // Trailing Stop Atr Relative Distance ONCE trailingstopshort    = 5    // Trailing Stop Atr Relative Distance ONCE atrtrailingperiod    = 30  // Atr parameter Value ONCE minstop              = 0    // Minimum Trailing Stop Distance // TRAILINGSTOP //---------------------------------------------- atrtrail = AverageTrueRange[atrtrailingperiod]((close/10)*pipsize)/1000 trailingstartl = round(atrtrail*trailingstoplong) trailingstartS = round(atrtrail*trailingstopshort) if trailingStopType = 1 THEN TGL =trailingstartl TGS=trailingstarts if not onmarket then MAXPRICE = 0 MINPRICE = close PREZZOUSCITA = 0 ENDIF if longonmarket then MAXPRICE = MAX(MAXPRICE,close) if MAXPRICE-tradeprice(1)>=TGL*pointsize then if MAXPRICE-tradeprice(1)>=MINSTOP then PREZZOUSCITA = MAXPRICE-TGL*pointsize ELSE PREZZOUSCITA = MAXPRICE - MINSTOP*pointsize ENDIF ENDIF ENDIF if shortonmarket then MINPRICE = MIN(MINPRICE,close) if tradeprice(1)-MINPRICE>=TGS*pointsize then if tradeprice(1)-MINPRICE>=MINSTOP then PREZZOUSCITA = MINPRICE+TGS*pointsize ELSE PREZZOUSCITA = MINPRICE + MINSTOP*pointsize ENDIF ENDIF ENDIF if onmarket and PREZZOUSCITA>0 then EXITSHORT AT PREZZOUSCITA STOP SELL AT PREZZOUSCITA STOP ENDIF ENDIF

   

  

  bullbear

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  04/11/2019 at 1:59 PM #96094
  Vonasi

  bullbear wrote:

  I tested your code on nasdaq.

  Not my code!

  

  Vonasi

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  04/11/2019 at 2:22 PM #96100
  bullbear

  Sorry Vonsai. Wrong of me there.

   

  It´s Balmora´s code 🙂

  

  bullbear

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  04/11/2019 at 2:24 PM #96101
  winnie37

  Balmora74, Vonasi and the others,

  Could someone do this? Thanks 🙂

  Another idea to improve tue strategy would be to include and test this part of code, very interesting…

  https://www.prorealcode.com/blog/learning/how-to-improve-a-strategy-with-simulated-trades-1/

  I tried to do it yesterday but i’m not a professionnal coder 😉

  

  winnie37

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  04/11/2019 at 2:34 PM #96103
  Vonasi

  I’ve done a lot of coding with simulated trading ideas in the past but my conclusion after a lot of effort was that it wasn’t really worth the effort. Others may have a different point of view.

  At the moment I am a bit busy with other projects and I don’t really enjoy converting other people’s codes (especially if a lot of the variable names are Italian!) so I’ll leave this one for someone else if that is OK.

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  winnie37

  

  Vonasi

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  04/11/2019 at 3:01 PM #96107
  GraHal

  Vonasi wrote:

  Not my code!

  Not even your name! 🙂

  Couldn’t resist sorry … as you said Vonasi trading can be lonely and I do enjoy a laugh even if it me making myself laugh!

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  winnie37

  

  GraHal

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